Chirag (01)Kushal (02)

Shreesh (14)Poorwa (15)

Jaya (24)Roshni (30)

Bank of Calcutta (Bank of Bengal)on 2 June 1806 It was the first joint-stock bank of British India

sponsored by the government of Bengal Bank of Bombay(1840) and Bank of Madras(1843)

amalgamated with Bank of Bengal as the imperial bank of India (1921)

To serve economy particularly rural committee act was passed and the state bank of India was constituted on July 1955

Since 1973 in non-profit activity called community services banking

Branches of SBI SBI has 460000 ATMs. SBI has 26500 branches, inclusive of branches

that belong to its Associate banks. SBI alone has 13076 Branches (including the

branches of State Bank of Indore), as on 26 August 2010.

82 foreign offices in 32 countries across the globe

ALCO of the bank is entrusted with the task of market risk management.

The ALM function comprises management of Management of balance sheet of the bank Liquidity, Maturity profiles of assets and liabilities Interest rate risks at the foreign offices. Deciding deposit rates and prime lending rates

It also ensures capital adequacy.

Monthly basis review of the interest rate and liquidity gap positions on the banking book.

Reviews the bank’s ALM policy and complies with the bank’s/ RBI’s policy guidelines on an ongoing basis.

During 2003-04, significant efforts were made to improve the market risk management capabilities and fine-tune the management information system.

1. Collateral Valuation and ManagementQualitative DisclosuresThe objective of this Policy is to enable classification and valuation of credit risk mitigants in a manner that allows regulatory capital adjustment to reflect them.Issues addressed are:

(i) Classification of credit risk mitigants(ii) Acceptable credit risk mitigants(iii) Documentation and legal process requirements for credit risk mitigants(iv) Valuation of collateral(v) Custody of collateral (vi) Insurance(vii) Monitoring of credit risk mitigants

Types of collaterals accepted Cash or Cash equivalent (Bank Deposits/NSCs/KVP/LIC Policy, etc.) Gold Securities issued by Central / State Governments Debt Securities rated BBB- or better/ PR3/P3/F3/A3 for Short-Term Debt

Instruments Guarantees by sovereigns and well-rated corporates, Fixed assets and current assets of the counterparty

Qualified guarantors: Sovereign, Sovereign entities [including Bank for International Settlements

(BIS), International Monetary Fund (IMF), European Central Bank and European Community as well as Multilateral Development Banks]

Export Credit & Guarantee Corporation Credit Guarantee Fund Trust for Micro and Small Enterprises Public Sector Enterprises (PSEs) Banks and Primary Dealers with a risk weight than the Counterparty. Other guarantors having an external rating of AA or better.

Quantitative Disclosures: Status as on 31.03.2010 (Amount in Rupee crores)

The total exposure that is covered by eligible financial collateralRs. 73242.54

The total exposure that is covered by guarantees/credit derivatives Rs. 48315.55

2. Credit RatingQualitative Disclosures

Names of Credit Rating Agencies used, plus reasons for any changes

CARE, CRISIL, ICRA and FITCH

Types of exposures for which each Agency is used For Exposures with a contractual maturity of less than or equal to

one year (except Cash Credit, Overdraft and other Revolving Credits), Short-term Ratings given by approved Rating Agencies is used.

For Domestic Cash Credit, Overdraft and other Revolving Credits (irrespective of the period) and for Term Loan exposures of over 1 year, Long Term Ratings is used.

For Overseas Exposures, irrespective of the contractual maturity, Long Term Ratings given by approved Rating Agencies is used.

Quantitative Disclosures as on 31.03.2010 (Amount in Rupee crores) For exposure amounts after risk mitigation subject to the

Standardised Approach, amount of a bank’s 100% Outstanding (rated and unrated) in each risk bucket are :

Below 100% RW Rs. 752166.40

100%RW Rs. 378593.99

More than 100% Rs. 104875.77

Deducted Rs. 5882.65

Total Rs. 1241518.81

Securitization Bank’s objective in relation to Securitisation activity is to

achieve improvements in leverage ratios, asset performance & quality and to achieve desirable investment & maturity characteristics.

Loss on sale on transfer of assets to Special Purpose Vehicle (SPV) shall be recognised upfront.

Profit on sale of the securitised assets shall be amortised over the life of the Pass Through Certificates (PTCs) assets issued or to be issued by SPV.

The following portfolios are covered by the Standardised Duration approach for calculation of Market Risk: Securities held under the Held for Trading (HFT) and Available

for Sale (AFS) categories. Derivatives entered into for hedging HFT and AFS securities Derivatives entered into for Trading.

Market Risk Management Department (MRMD)/Mid-Office are responsible for identification, assessment, monitoring and reporting of Market Risk in Treasury operations.

Board approved Trading policies and Investment Policies with defined Market Risk management parameters for each asset class are in place.

Risk monitoring is an ongoing process with the position reported to the Top management and the Risk Management Committee of the Board at stipulated intervals.

Risk Management and reporting is based on parameters such as a Modified Duration, Price Value of Basis Point (PVBP), Maximum permissible Exposures, Net Open Position limits, Gap limits, Value at Risk (VaR) etc, in line with the global best practices.

Respective Foreign Offices are responsible for risk monitoring of their investment as per the local regulatory requirements. Stop loss limit for individual investments and exposure limits for certain portfolios have been prescribed.

Risk Profiles are analysed and their effectiveness is monitored on an ongoing basis.

Forex open position limits (Daylight/Overnight), Deal wise cut-loss limits, Stop loss limit, Profit/Loss in respect of Cross Currency trading are properly monitored and exception reporting is regularly carried out.

Quantitative disclosures:Minimum Regulatory Capital requirements for market risk as on

31.03.2010 is as under:(Rs in crores):

Interest rate risk Rs 2,442(Including Derivatives)

Equity position risk Rs 2510

Foreign exchange risk Rs 116 (Including Gold)

Total Rs 5068

Policies for control and mitigation of Operational Risk

Systematic and proactive identification, assessment, measurement, monitoring, mitigation and reporting of the Operational Risks is in place.

Policy on Business Continuity Planning (BCP) is in place.

Policy on Know Your Customer (KYC) Standards and Anti Money Laundering (AML) Measures is in place.

Policy on Fraud Risk Management is in place.

Strategies and Processes –

“Book of Instructions” having Guidelines and instructions are propagated. Different sanctioning powers of various levels of Officials for different types

of financial transactions Core Banking System (CBS). The process of building a comprehensive database of losses due to

Operational Risks has been initiated, to facilitate better risk management. Training of Staff Insurance Internal Audits Risk and Control Self Assessment (RCSA) process is being rolled out in

domestic branches and Centralised Processing Cells (CPCs) for identification, assessment, control and mitigation of Operational Risks in the Bank.

Detailed assessment of significant Operational Risks is conducted by Focus Groups consisting of Senior Officials at Controlling Offices.

The scope and nature of Risk Reporting and Measurement Systems

A system of prompt submission of reports on Frauds is in place in the Bank.

A comprehensive system of Preventive Vigilance has been established in all the business units of the Group.

For 31.03.2010, Basic Indicator Approach with capital charge of 15% of average gross income for previous 3 years is adopted for Operational Risk.

Qualitative Disclosures

ALCO reviews Interest Rate Sensitivity statement on monthly basis.

Interest rate risk in the Fixed Income portfolio of Bank’s investments is managed through Duration analysis. Bank also carries out Duration Gap analysis (on quarterly basis) to estimate the impact of change in interest rates on economic value of bank’s assets and liabilities and thus arrive at changes in Market Value of Equity (MVE).

The following prudential limits have been fixed for monitoring of various interest risks:

The prudential limit aims to restrict the overall adverse impact on account of market risk to the extent of 20% of capital and reserves, while part of the remaining capital and reserves serves as cushion for credit and operational risk.

Changes on account of Interest Maximum Impactrate volatility (as % of Capital

and Reserve)

Changes in Net Interest Income(with 1% change in interestrates for both assets and liabilities)

5%

Change in Market value of Equity(with 1% change in interest ratesfor assets and liabilities)

20%

Duration Gap: The impact of interest rate changes on the Market Value of Equity is monitored through Duration Gap analysis by recognising the changes in the value of assets and liabilities by a given change in the market interest rate. The change in value of equity (including reserves) with 1% parallel shift in interest rates for both assets and liabilities is estimated.

Maximum limit up to which the value of the equity (including reserves) will get affected with 1% change in interest rates is restricted to 20% of capital and reserves.

Quantitative Disclosures Earnings at Risk (EaR)

Market Value of Equity(MVE) (Rs.in crores)

Assets Liabilities Impact on NII

Lending rate / yieldon investment increase by 100 bps.

Term Deposit/Borrowing costs increases by 100 bps.

2156.88

As at March 2010

Amount

Impact on Market Value of Equity (MVE)

592.83

2007-08 2008-09 2009-10

STANDARD

NPA STANDARD NPA STANDARD NPA

COAL 1060.41 11.21 1235.92 8.75 2769.84 16.12

MINING 5659.91 34.31 11243.65 82.15 5874.29 57.0

I & S 37788.9 664.45 22301.76 737.47 46798.76 1026.78

METALS 9655.94 283.45 2729.77 184.83 8649.41 364.53

GEMS 12896.2 150.53 11849.93 230.06 11085.06 530.22

ELECTRICITY 10837.5 583.83 10024.98 1638.01 8136.02 10.18

CONSTRUCTION

11008.42 281.38 16088.98 487.74 11057.82 779.67

INFRASTURCTURE

44151.36 307.51 35817.17 341.45 63438.33 630.82

CAPITAL M ARKETS

6588.35 6974.33

REAL ESTATE 57870.54 64104.97

ROA gives an idea as to how efficiently management is using its assets to generate earnings.

There has been material deterioration in banks asset

quality over 5 quarters.

NPL risk is highest for SBI with its NNPL comprising 16.5%

of net worth.

With PCR at 61% bank requires additional Rs.28bn to

reach stipulated 70%.

SBI’s B/S to grow by 18% CAGR; ROA would increase, ROE

would get diluted.

SBI’s NIM has recovered by significant 90bps in the past four quarters aided by

material decline in average surplus liquidity

significant improvement (900 bps) in the CASA ratio

reduction in contribution of bulk term deposits and within

that high-cost deposits.

sharp improvement in C/D ratio (900 bps)

The LTD ratio—a bank's gross loans divided by total deposits—indicates the percentage of a bank's loans funded through deposits.

An upswing in the LTD may indicate that a bank has less of a cushion to fund its growth and to protect itself against a sudden recall of its funding, especially a bank that relies on deposits to fund growth.

2008-2009

(in crores) Upto 14 days

15 to 28 days

29 days to 3 months

Over 3 months & upto 6 months

Over 6 months & upto 1yr

Over 1 yr & upto 3 yrs

Over 3 yr & upto 5yrs Over 5 Yrs Total

Deposits 83690.4 14592.93 37853.31 56627.41 86114.19 181909.61 102864.77 178420.5 742073.13

Borrowings 12362.18 5531.82 10490.96 8523.6 4384.83 9173.88 3052.88 193.53 53713.68

Foreign Currency Liability

31287.61 9152.31 14704.28 15303.09 14831.34 17878.41 6550.34 1677.01 111384.39

Total Outflow 127340.19 29277.06 63048.55 80454.1 105330.36 208961.9 112467.99 180291.1 907171.2

Advances 87221.68 8026.04 33299.25 26620.89 19452.19 240706.9 42276.2 84900.05 542503.2

Investments 18024.74 4494.75 21733.42 7848.99 6777.18 32238.61 60331.76 124504.5 275953.95

Foreign Currency

Assets28940.13 7332.46 29855.55 19109.41 5943.45 17732.69 11663.61 11379.36 131956.66

Total Inflow 134186.55 19853.25 84888.22 53579.29 32172.82 290678.2 114271.57 220783.9 950413.81

Gap 6846.36 -9423.81 21839.67 -26874.81 -73157.54 81716.3 1803.58 40492.86 43242.61

Cumulative Gap

6846.36 -2577.45 19262.22 -7612.59 -80770.13 946.17 2749.75 43242.61

Gap % to total Output

5.4% -32.2% 34.6% -33.4% -69.5% 39.1% 1.6% 22.5% 4.8%

2009-2010

(in crores) 1 day 2 to 7 days

8 to 14 days

15 to 28 days

29 days to 3 months

over 3 months &

upto 6

Over 6 months & upto 1yr

Over 1 yr & upto 3 yrs

Over 3 yr & upto 5yrs Over 5 Yrs Total

Deposits 19136.97 23515.23 27061.73 20483.98 43403.06 64260.77 90342.06 262985.18 135539.12 117388.13 804116.23

Borrowings 3569.92 12079.2 2786.39 4802.38 19350.31 10058.28 5485.78 6793.2 5535.16 32550.98 103011.6

Foreign Currency Liability

18796.82 5661.65 3980.66 6790.08 27311.98 20193.38 20468.81 15065.98 9552.04 946.74 128768.14

Total Outflow 41503.71 41256.08 33828.78 32076.44 90065.35 94512.43 116296.65 284844.36 150626.32 150885.85 1035896

Advances 43973.66 12572.36 39713.35 8888.53 33914.61 35494.45 27616.38 275367.66 59944.08 94429.07 631914.15

Investments

135.56 245.22 219.58 1802.52 10415.07 7991.92 6095.1 51770.22 59533.46 147581.42 285790.07

Foreign Currency

Assets30336.67 1154.84 3140.2 6536.37 25802.73 24648.61 9814.2 15229.77 14071.49 11433.65 142168.53

Total Inflow

74445.89 13972.42 43073.13 17227.42 70132.41 68134.98 43525.68 342367.65 133549.03 253444.14 1059872.8

Gap 32942.18 -27283.66 9244.35 -14849.02 -19932.94 -26377.45 -72770.97 57523.29 -17077.29 102558.29 23976.78

Cumulative Gap

32942.18 5658.52 14902.87 53.85 -19879.09 -46256.54 -119027.51 -61504.22 -78581.51 23976.78

Gap % to total

Output

79.4% -66.1% 27.3% -46.3% -22.1% -27.9% -62.6% 20.2% -11.3% 68.0% 2.3%

Under Basel III the Tier II Capital should be ideally between 7-9%

In the year 2010, SBI had 9.45% of Tier I Capital

Capital conservation buffer of common equity will be 2.5 percent of assets, bringing the total Tier I capital requirement to 7 percent.

Another provision of Basel III will require them to build a separate “countercyclical buffer” of between zero and 2.5 percent when the credit markets are booming